Details about Roman Kozhan
Access statistics for papers by Roman Kozhan.
Last updated 2014-08-20. Update your information in the RePEc Author Service.
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- Optimal Security Design under Asymmetric Information and Profit Manipulation
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (1)
- Toxic Arbitrage
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)
- Multiple Priors And No-Transaction Region
Working Paper Series, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe View citations (2)
- The Skew Risk Premium in the Equity Index Market
Review of Financial Studies, 2013, 26, (9), 2174-2203 View citations (60)
- Execution Risk in High-Frequency Arbitrage
Management Science, 2012, 58, (11), 2131-2149 View citations (22)
- The information content of a limit order book: The case of an FX market
Journal of Financial Markets, 2012, 15, (1), 1-28 View citations (11)
- Non-additive anonymous games
International Journal of Game Theory, 2011, 40, (2), 215-230
- Asymmetric Momentum Effects Under Uncertainty
Review of Finance, 2010, 15, (3), 603-631 View citations (6)
- Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 1-25 View citations (1)
- Asset allocation with distorted beliefs and transaction costs
European Journal of Operational Research, 2009, 194, (1), 236-249 View citations (3)
- Firms' investment under financial constraints: a euro area investigation
Applied Financial Economics, 2009, 19, (20), 1611-1624 View citations (4)
- Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
Journal of Economic Dynamics and Control, 2009, 33, (5), 1106-1122 View citations (9)
- Nash equilibria for games in capacities
Economic Theory, 2008, 35, (2), 321-331 View citations (4)
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